Papers
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- 2003: Intermittent chaos in a model of financial markets with heterogeneous agents
- Taisei Kaizoji
- 2003: Speculative bubbles and fat tail phenomena in a heterogeneous agent model
- Taisei Kaizoji
- 2003: Induced Minority Dynamics in a Stock Market Model
- Yi Li and Robert Savit
- 2003: Causal Slaving of the U.S. Treasury Bond Yield Antibubble by the Stock Market Antibubble of August 2000
- Wei-Xing Zhou and D. Sornette
- 2003: Random Matrix Theory Analysis of Cross Correlations in Financial Markets
- Akihiko Utsugi, Kazusumi Ino and Masaki Oshikawa
- 2003: Superstatistics in Econophysics
- Yoshikazu Ohtaki and Hiroshi H. Hasegawa
- 2003: Traders' strategy with price feedbacks in financial market
- Takayuki Mizuno, Tohur Nakano, Misako Takayasu and Hideki Takayasu
- 2003: Activity autocorrelation in financial markets. A comparative study between several models
- Luigi Palatella, Josep Perelló, Miquel Montero and Jaume Masoliver
- 2003: Effects of Randomness on Power Law Tails in Multiplicatively Interacting Stochastic Processes
- Toshiya Ohtsuki, Akihiro Fujihara and Hiroshi Yamamoto
- 2003: Gibbs versus non-Gibbs distributions in money dynamics
- Marco Patriarca, Anirban Chakraborti and Kimmo Kaski
- 2003: Antibubble and Prediction of China's stock market and Real-Estate
- Wei-Xing Zhou and D. Sornette
- 2003: A comparison between several correlated stochastic volatility models
- Josep Perelló, Jaume Masoliver and Napoleon Anento
- 2003: Inelastically scattering particles and wealth distribution in an open economy
- Frantisek Slanina
- 2003: The Maxwell Demon and Market Efficiency
- Roger D. Jones, Sven G. Redsun, Roger E. Frye and Kelly D. Myers
- 2003: Bessel processes, the integral of geometric Brownian motion, and Asian options
- M. Schr\"oder and Peter Carr
- 2003: A model of the term structure of interest rates based on L\'evy fields
- Sergio Albeverio, Eugene Lytvynov and Andrea Mahnig
- 2003: Motion in random fields - an application to stock market data
- James P. Gleeson
- 2003: Can One Make Any Crash Prediction in Finance Using the Local Hurst Exponent Idea?
- D. Grech and Z. Mazur
- 2003: Ehrenfest Model with Large Jumps in Finance
- Hisanao Takahashi
- 2003: Tobin tax and market depth
- G. Ehrenstein, Frank Westerhoff and D. Stauffer
- 2003: Money in Gas-Like Markets: Gibbs and Pareto Laws
- Arnab Chatterjee, Bikas K. Chakrabarti and S. S. Manna
- 2003: Volatility and Returns in Korean Futures Exchange Markets
- Kyungsik Kim, Seong-Min Yoon and Jum Soo Choi
- 2003: Correlation between Risk Aversion and Wealth distribution
- J. R. Iglesias, S. Goncalves, G. Abramson and J. L. Vega
- 2003: Inequalities of wealth distribution in a conservative economy
- S. Pianegonda and J. R. Iglesias
- 2003: Time scales involved in market emergence
- J. Kwapien, S. Drozdz and J. Speth
- 2003: Monopoly Market with Externality: an Analysis with Statistical Physics and Agent Based Computational Economics
- Jean-Pierre Nadal, Denis Phan, Mirta B. Gordon and Jean Vannimenus
- 2003: Fearless versus Fearful Speculative Financial Bubbles
- J. V. Andersen and D Sornette
- 2003: Do Pareto-Zipf and Gibrat laws hold true? An analysis with European Firms
- Yoshi Fujiwara, Corrado Di Guilmi, Hideaki Aoyama, Mauro Gallegati and Wataru Souma
- 2003: Consistent Estimation of Pricing Kernels from Noisy Price Data
- Vladislav Kargin
- 2003: Exchanges in complex networks: income and wealth distributions
- T. Di Matteo, T. Aste and S. T. Hyde
- 2003: Modeling of waiting times and price changes in currency exchange data
- Przemyslaw Repetowicz and Peter Richmond
- 2003: A distribution function analysis of wealth distribution
- Arnab Das and Sudhakar Yarlagadda
- 2003: Anomalous waiting times in high-frequency financial data
- Enrico Scalas, Rudolf Gorenflo, Francesco Mainardi, Maurizio Mantelli and Marco Raberto
- 2003: Zipf Law in Firms Bankruptcy
- Yoshi Fujiwara
- 2003: Wavelet Correlation Coefficient of 'strongly correlated' financial time series
- Ashok Razdan
- 2003: Correlated Equilibria of Classical Strategic Games with Quantum Signals
- Pierfrancesco La Mura
- 2003: Exact Solution of Discrete Hedging Equation for European Option
- D. E. Yakovlev and D. N. Zhabin
- 2003: Approximation of Multiple Integrals over Hyperboloids with Application to a Quadratic Portfolio with Options
- Jules Sadefo Kamdem and Alan Genz
- 2003: Value-at-Risk and expected shortfall for linear portfolios with elliptically distributed risk factors
- Jules Sadefo Kamdem
- 2003: Cooperativity in a trading model with memory and production
- R. Donangelo and K. Sneppen
- 2003: Langevin processes, agent models and socio-economic systems
- Peter Richmond and Lorenzo Sabatelli
- 2003: A Trade-Investment Model for Distribution of Wealth
- Nicola Scafetta, Bruce J. West and Sergio Picozzi
- 2003: Foreign exchange market fluctuations as random walk in demarcated complex plane
- Johnrob Bantang, May Lim, Patricia Arielle Castro, Christopher Monterola and Caesar Saloma
- 2003: Renormalization Group Analysis of the 2000-2002 anti-bubble in the US S&P 500 index: Explanation of the hierarchy of 5 crashes and Prediction
- Wei-Xing Zhou and D. Sornette
- 2003: Optimal Convergence Trading
- Vladislav Kargin
- 2003: Could short selling make financial markets tumble?
- Jorgen Vitting Andersen
- 2003: Statistical Laws in the Income of Japanese Companies
- Takayuki Mizuno, Makoto Katori, Hideki Takayasu and Misako Takayasu
- 2003: Percolation-Based Model of New-Product Diffusion with Macroscopic Feedback Effects
- Martin Hohnisch, Sabine Pittnauer and Dietrich Stauffer
- 2003: Scale-Dependent Price Fluctuations for the Indian Stock Market
- Kaushik Matia, Mukul Pal, H. Eugene Stanley and H. Salunkay
- 2003: Multifractal Properties of Price Fluctuations of Stocks and Commodities
- Kaushik Matia, Yosef Ashkenazy and H. Eugene Stanley
- 2003: Fluctuations and response in financial markets: the subtle nature of `random' price changes
- Jean-Philippe Bouchaud, Yuval Gefen, Marc Potters and Matthieu Wyart
- 2003: Another type of log-periodic oscillations on Polish stock market?
- Piotr Gnacinski and Danuta Makowiec
- 2003: The mean-field approximation model of company's income growth
- Takayuki Mizuno, Misako Takayasu and Hideki Takayasu
- 2003: Evidence of a Worldwide Stock Market Log-Periodic Anti-Bubble Since Mid-2000
- Wei-Xing Zhou and D. Sornette
- 2003: 2000-2003 Real Estate Bubble in the UK but not in the USA
- Wei-Xing Zhou and D. Sornette
- 2003: Approximation probabilities, the law of quasistable markets, and phase transitions from the "condensed" state
- V. P. Maslov
- 2003: Wiener Chaos and the Cox-Ingersoll-Ross model
- M. R. Grasselli and T. R. Hurd
- 2003: Partial Derivative Approach for Option Pricing in a Simple Stochastic Volatility Model
- Miquel Montero
- 2003: Applications of physics to economics and finance: Money, income, wealth, and the stock market
- Adrian A. Dragulescu
- 2003: Concave risk measures in international capital regulation
- Imre Kondor, Andras Szepessy and Tunde Ujvarosi
- 2003: Modelling and computer simulation of an insurance policy: A search for maximum profit
- M. Acharyya and A. B. Acharyya
- 2003: On Simple Mean-Field Stochastic Model of Market Dynamics
- Guennadi Saiko
- 2003: Are the contemporary financial fluctuations sooner converging to normal?
- S. Drozdz, J. Kwapien, F. Gruemmer, F. Ruf and J. Speth
- 2003: Alternation of different fluctuation regimes in the stock market dynamics
- J. Kwapien, S. Drozdz and J. Speth
- 2003: Risk aversion in financial decisions: A nonextensive approach
- Celia Anteneodo and Constantino Tsallis
- 2003: Dynamics of multi-frequency minority games
- Andrea De Martino
- 2003: Evidence of Fueling of the 2000 New Economy Bubble by Foreign Capital Inflow: Implications for the Future of the US Economy and its Stock Market
- D. Sornette and Wei-Xing Zhou
- 2003: The statistical distribution of money and the rate of money transference
- Juan C. Ferrero
- 2003: Power law relaxation in a complex system: Omori law after a financial market crash
- Fabrizio Lillo and Rosario Mantegna
- 2003: Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?
- Yannick Malevergne, V. F. Pisarenko and D. Sornette
- 2003: A Quantum Approach to Stock Price Fluctuations
- Martin Schaden
- 2003: Evolution and anti-evolution in a minimal stock market model
- R. Rothenstein and K. Pawelzik
- 2003: Estimated Correlation Matrices and Portfolio Optimization
- Szilard Pafka and Imre Kondor
- 2003: Weak vs. Strong Correlations: Bid-Ask Spreads for Weather-Contingent Options
- Rene' Carmona and Dario Villani
- 2003: Multifractal Features in the Foreign Exchange and Stock Markets
- Kyungsik Kim and Seong-Min Yoon
- 2003: A traffic lights approach to PD validation
- Dirk Tasche
- 2003: Significance of log-periodic signatures in cumulative noise
- Hans-Christian Graf v. Bothmer
- 2003: Hamiltonian and Potentials in Derivative Pricing Models: Exact Results and Lattice Simulations
- Belal E. Baaquie, Claudio Coriano and Marakani Srikant
- 2003: A numeraire-free and original probability based framework for financial markets
- Jia-An Yan
- 2003: Measuring and hedging financial risks in dynamical world
- Nicole El Karoui
- 2003: Optimal Asset Allocation with Asymptotic Criteria
- Vladislav Kargin
- 2003: The US 2000-2003 Market Descent: Clarifications
- D. Sornette and Wei-Xing Zhou
- 2003: Analytic treatment of a trading market model
- Arnab Das and Sudhakar Yarlagadda
- 2003: Using Recurrent Neural Networks To Forecasting of Forex
- V. V. Kondratenko and Yu. A Kuperin
- 2003: Herd Behaviors in the Stock and Foreign Exchange Markets
- Kyungsik Kim, Seong-Min Yoon and Yup Kim
- 2003: Market Simulation Displaying Multifractality
- Kazuko Yamasaki and Kenneth J. Mackin
- 2003: Stochastic Maps, Wealth Distribution in Random Asset Exchange Models and the Marginal Utility of Relative Wealth
- Sitabhra Sinha
- 2003: Herd Behavior of Returns in the Futures Exchange Market
- Kyungsik Kim, Seong-Min Yoon and Yup Kim
- 2003: Causalities of the Taiwan Stock Market
- Juhi-Lian Julian Ting
- 2003: Bose-Einstein Condensation in Competitive Processes
- Hideaki Shimazaki and Ernst Niebur
- 2003: Measuring Anti-Correlations in the Nordic Electricity Spot Market by Wavelets
- Ingve Simonsen
- 2003: On Bond Portfolio Management
- Vladislav Kargin
- 2003: Fitting the Power-law Distribution to the Mexican Stock Market index data
- H. F. Coronel-Brizio, C. R. de la Cruz-Laso and A. R. Hernandez-Montoya
- 2003: Time-scale dependence of correlations among foreign currencies
- Takayuki Mizuno, Shoko Kurihara, Misako Takayasu and Hideki Takayasu
- 2003: Investment strategy based on a company growth model
- Takayuki Mizuno, Shoko Kurihara, Misako Takayasu and Hideki Takayasu
- 2003: Bose-Einstein Condensation in Financial Systems
- Kestutis Staliunas
- 2003: Research in Econophysics
- Victor Yakovenko
- 2003: Financial Probabilities from Fisher Information
- Raymond J. Hawkins and B. Roy Frieden
- 2003: Using the Scaling Analysis to Characterize Financial Markets
- T. Di Matteo, T. Aste and Michel Dacorogna
- 2003: Long-range correlations and nonstationarity in the Brazilian stock market
- R. L. Costa and G. L. Vasconcelos
- 2003: Ideal Gas-Like Distributions in Economics: Effects of Saving Propensity
- Bikas K. Chakrabarti and Arnab Chatterjee
- 2003: Multiple time scales in volatility and leverage correlations: An stochastic volatility model
- Josep Perelló, Jaume Masoliver and Jean-Philippe Bouchaud
- 2003: VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions
- Yannick Malevergne and D. Sornette
- 2003: Finite-Time Singularity Signature of Hyperinflation
- D. Sornette, H. Takayasu and Wei-Xing Zhou
- 2003: Critical Market Crashes
- D. Sornette
- 2003: Nonextensive statistical mechanics and economics
- Constantino Tsallis, Celia Anteneodo, Lisa Borland and Roberto Osorio
- 2003: Deterministic and stochastic influences on Japan and US stock and foreign exchange markets. A Fokker-Planck approach
- K. Ivanova, Marcel Ausloos and H. Takayasu
- 2003: The average shape of a fluctuation: universality in excursions of stochastic processes
- Andrea Baldassarri, Francesca Colaiori and Claudio Castellano
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